Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0886 |
| Annualized Std Dev | 0.2235 |
| Annualized Sharpe (Rf=0%) | 0.3965 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5184.0000 |
| NAs | 1.0000 |
| Minimum | -0.1339 |
| Quartile 1 | -0.0058 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0071 |
| Maximum | 0.1106 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0141 |
| Skewness | -0.4041 |
| Kurtosis | 10.7275 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0099 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0100 |
| Downside Deviation (0%) | 0.0100 |
| Maximum Drawdown | 0.5957 |
| Historical VaR (95%) | -0.0205 |
| Historical ES (95%) | -0.0334 |
| Modified VaR (95%) | -0.0212 |
| Modified ES (95%) | -0.0395 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-01-02 | -0.5957 | 1406 | 444 | 962 |
| 2020-01-17 | 2020-03-23 | 2021-01-06 | -0.4611 | 245 | 45 | 200 |
| 2002-04-18 | 2002-10-09 | 2003-10-14 | -0.3296 | 377 | 122 | 255 |
| 2018-08-30 | 2018-12-24 | 2019-12-20 | -0.2353 | 330 | 80 | 250 |
| 2015-06-24 | 2016-01-20 | 2016-08-15 | -0.2232 | 289 | 145 | 144 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | 0.9 | 0.1 | 0.3 | -0.3 | 1 | -1 | 1 |
| 2001 | 0.8 | -0.5 | 1.4 | 0.2 | 1 | 1.5 | 0.7 | 1.1 | -2 | 1.1 | -1.4 | -0.4 | 3.5 |
| 2002 | -0.1 | 1.7 | 0.2 | 0.4 | 0.4 | -1.9 | -2.4 | -0.1 | 1.7 | 1.5 | -0.2 | 0.6 | 1.6 |
| 2003 | 1.4 | 0.1 | 0.5 | 0.1 | 2.9 | 0.6 | -0.8 | 0.9 | 2.3 | 0.2 | 1.2 | -0.5 | 9.2 |
| 2004 | -0.1 | 1.6 | 0.8 | -1.1 | 0.4 | -1.5 | -0.3 | 0.6 | 1.5 | 0.2 | 1.1 | 0 | 3.3 |
| 2005 | 0.6 | 0.9 | -0.1 | 1.2 | 1.1 | 0.8 | 0.1 | 0.2 | 0.6 | 0.7 | 1.5 | -0.5 | 7.3 |
| 2006 | 0.4 | 1.5 | 0 | -0.5 | 1.2 | 0.3 | -0.5 | 0.3 | -0.4 | -1 | 0 | -0.6 | 0.6 |
| 2007 | 1.2 | -0.3 | 0.4 | 0.4 | 0.6 | -0.7 | 0.8 | 1.5 | 1.3 | -2.5 | 0.9 | -0.5 | 2.9 |
| 2008 | 2.2 | -2.7 | 2.9 | 1.8 | 0.2 | -0.2 | 0 | -1.2 | -1 | 2.6 | -11.4 | 2 | -5.4 |
| 2009 | -3 | -0.8 | 1.7 | -0.5 | 3.7 | 1.4 | -0.1 | -2.3 | -3.3 | -3 | 1.4 | -1.4 | -6.2 |
| 2010 | 1.4 | 1.6 | 1.1 | -2.1 | -2.8 | -0.8 | 0.1 | 3.3 | 0.3 | 0 | 2.1 | -0.7 | 3.4 |
| 2011 | 1.6 | -1.7 | 0.9 | 0.3 | -2.6 | 1.6 | -0.7 | -1.8 | -2.7 | -3.3 | -0.7 | -0.4 | -9.2 |
| 2012 | 2.1 | 0.8 | -0.1 | 0.4 | -3 | 2.8 | -0.9 | 0.5 | -0.4 | 2.3 | 0.2 | 1.5 | 6.2 |
| 2013 | 0.8 | -0.4 | -1 | -1.9 | -0.8 | 1.1 | 2 | -1.5 | 1.3 | 0 | -0.2 | 0.2 | -0.4 |
| 2014 | -0.4 | 0.2 | 0.7 | 0.1 | -0.1 | 0.6 | -0.1 | 0.5 | -1.3 | 1.3 | -1 | -1.2 | -0.6 |
| 2015 | -1.1 | -0.5 | -0.1 | 0.6 | 0 | 0.2 | 0 | -3.1 | -0.2 | -0.2 | 0.8 | -1 | -4.8 |
| 2016 | -0.4 | 2 | 0.2 | -0.4 | 0.4 | 0.4 | -0.6 | -0.2 | 0.9 | -1 | 0 | -0.4 | 0.8 |
| 2017 | -0.2 | 1.8 | 0 | 0.2 | 1.8 | 0.1 | 0.1 | 0.4 | 0.1 | -0.1 | -0.2 | -0.5 | 3.5 |
| 2018 | 0 | -0.1 | 1.3 | 0.2 | 0.4 | 0 | -0.4 | 0 | -0.6 | 1.7 | 0.6 | 1 | 4.1 |
| 2019 | 0.2 | 0.8 | 1.7 | -1 | -1.3 | 0.6 | -2.1 | 0.3 | -2 | 1.5 | -1.1 | 0.2 | -2.2 |
| 2020 | -2.1 | -1.9 | -6 | -3.8 | 1.6 | -1.3 | -1.2 | 0.8 | 1.2 | -0.5 | 1.5 | 0.1 | -11.4 |
| 2021 | 1.9 | 2.7 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-07-28 18.0 SPY 142. -0.0226 -0.0379 -0.0238 -0.0207 0.0704 NA NA <NA> NA NA NA
2 2000-07-31 18.1 SPY 143. 0.0057 -0.0268 -0.0089 -0.0283 0.074 NA NA <NA> NA NA NA
3 2000-08-04 18.8 SPY 146. 0.0054 0.0301 0.0043 0.0198 0.123 NA NA <NA> NA NA NA
4 2000-08-07 18.9 SPY 148. 0.012 0.0365 0.0002 0.0398 0.139 NA NA <NA> NA NA NA
5 2000-08-08 19.0 SPY 149. 0.0038 0.0334 0.0057 0.0522 0.156 NA NA <NA> NA NA NA
6 2000-08-09 18.8 SPY 147. -0.0084 0.0197 -0.0049 0.0674 0.132 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
